97 citations · 230 across the 9 of their papers we have counts for
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q-fin.PR2010
A Subjective and Probabilistic Approach to Derivatives
Ulrich Kirchner
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabili…
q-fin.PR2009★ 5 cited
Market Implied Probability Distributions and Bayesian Skew Estimation
Ulrich Kirchner
We review and illustrate how the volatility smile translates into a probability distribution, the market-implied probability distribution representing believes priced in. The effec…